Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0405
Annualized Std Dev 0.2122
Annualized Sharpe (Rf=0%) -0.1910

Row

Daily Return Statistics

Close
Observations 4190.0000
NAs 1.0000
Minimum -0.1289
Quartile 1 -0.0049
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0002
Quartile 3 0.0056
Maximum 0.1486
SE Mean 0.0002
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0003
Variance 0.0002
Stdev 0.0134
Skewness -0.6385
Kurtosis 19.6878

Downside Risk

Close
Semi Deviation 0.0100
Gain Deviation 0.0097
Loss Deviation 0.0118
Downside Deviation (MAR=210%) 0.0145
Downside Deviation (Rf=0%) 0.0100
Downside Deviation (0%) 0.0100
Maximum Drawdown 0.7511
Historical VaR (95%) -0.0184
Historical ES (95%) -0.0341
Modified VaR (95%) -0.0191
Modified ES (95%) -0.0191
From Trough To Depth Length To Trough Recovery
2005-08-09 2020-03-18 NA -0.7511 3931 3677 NA
2005-02-11 2005-04-20 2005-07-06 -0.0587 100 47 53
2004-11-10 2004-12-22 2005-01-12 -0.0395 44 30 14
2004-08-30 2004-08-31 2004-11-09 -0.0368 51 2 49
2005-07-08 2005-07-26 2005-08-03 -0.0264 19 13 6

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA -0.1 0.5 -0.3 0.1 -0.4 -0.3 -0.5
2005 -0.3 0.5 -0.3 0.7 0.3 0.3 0.6 0.5 1.9 2.1 0 0 6.4
2006 -0.5 1 0.3 1.4 1.7 0.1 -0.8 -0.4 0.1 -0.1 -0.1 0.9 3.8
2007 0.6 0.7 1.1 -1.3 0.9 0.3 -1.3 1.5 0.5 -1.4 1.2 1.4 4.4
2008 2.4 -2.2 2.7 2.1 0.7 -0.4 0.6 -1.2 2.3 1.4 -5.3 4.4 7.4
2009 -2.5 -4.5 2.5 0 3.2 -0.1 0.3 -0.8 -0.8 -2 1.3 0.3 -3.4
2010 2.1 1.3 0.4 -1.6 -1.1 -0.8 -0.5 3.3 0.7 0 2.9 1.1 8.2
2011 1.2 -0.2 0.7 0.3 -0.5 0.9 1 -0.3 -1.7 -2.6 0.8 0.5 0.2
2012 0.7 0.7 0.7 0.4 -1.7 1.5 0.1 0.6 0.4 1 0.8 1.2 6.7
2013 0.9 0.2 0.1 -0.6 -0.9 1.1 0.1 -0.1 1.8 0.2 0.6 -0.6 2.9
2014 -0.4 0.5 0.5 0.3 0.6 0.2 0.4 0.3 -0.1 0.4 -1.1 0.2 1.7
2015 -0.8 -0.5 -0.1 0.7 0.7 0.8 0.5 -2.5 1.6 0 0.4 -0.3 0.4
2016 0.3 1.9 0.4 0 0.7 -0.8 -0.3 -0.1 1 -0.9 -0.6 0.1 1.7
2017 0.4 0.9 -0.4 0.6 0.6 0.5 0.1 0.1 0.9 -0.1 -0.4 0.5 3.8
2018 0.1 -0.9 0.8 -0.4 0.9 0.7 0.1 -0.4 0.7 0.7 1 0.2 3.5
2019 0.1 0.1 -0.3 -0.3 -1.4 0.2 -0.3 0.6 -0.3 0.8 -0.2 0.2 -0.8
2020 -1.2 -3.9 -4.5 -2.7 0.3 1.2 0 0 -0.7 -1.7 1.1 -0.9 -12.4
2021 0 1.5 0.5 NA NA NA NA NA NA NA NA NA 2.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-07-28  15   SPY    110.  0.003     0.0047  -0.0295  -0.0367    0.102  -0.0926   -0.190 <NA>     NA    NA       NA
2 2004-07-29  15.0 SPY    111.  0.0043    0.0063  -0.0294  -0.0199    0.112  -0.0704   -0.186 <NA>     NA    NA       NA
3 2004-07-30  15   SPY    111.  0.00240   0.0173  -0.0322  -0.0089    0.118  -0.0591   -0.177 <NA>     NA    NA       NA
4 2004-08-02  15   SPY    111.  0.0021    0.0213  -0.0166   0.001     0.118  -0.0674   -0.183 <NA>     NA    NA       NA
5 2004-08-03  15.0 SPY    110. -0.0077    0.004   -0.0237  -0.0173    0.119  -0.0843   -0.192 <NA>     NA    NA       NA
6 2004-08-04  15   SPY    110. -0.0001    0.0009  -0.0151  -0.0166    0.119  -0.0878   -0.180 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart